Lighting specific objects in cycles with volumetric atmosphere
A possible soution is not using volumetrics in the world setting but creating a solid that contains the whole scene with volume scatter shader.
Have that solid be in only one layer and have other layers with no volumetrics to light the objects.

For example on a scene like this:



I added a cube that surrounds the whole scene and added a volume scatter node as volume to create the volumetrics.





on a separate layer I have the object on the left with separate lighting and no volumetrics.



I render both layers separately and combine them in the compositor: